Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions

Takashi Kato

Papers from arXiv.org

Abstract: In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an optimal strategy is a VWAP (volume weighted average price) execution strategy when the market model is a Black-Scholes type with stochastic clock and market trading volume is large.

Date: 2016-05, Revised 2016-05
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